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All Journal Teknosains: Media Informasi Sains dan Teknologi Jurnal Matematika dan Statistika serta Aplikasinya (Jurnal MSA) Jurnal INSYPRO (Information System and Processing) JTAM (Jurnal Teori dan Aplikasi Matematika) Saintifik : Jurnal Matematika, Sains, dan Pembelajarannya Al-Khwarizmi: Jurnal Pendidikan Matematika dan Ilmu Pengetahuan Alam Jurnal Varian ELIPS: Jurnal Pendidikan Matematika JES-MAT (Jurnal Edukasi dan Sains Matematika) Jurnal Siger Matematika
Irwan Kasse
Universitas Islam Negeri Alauddin Makassar
Agriculture, Biological Sciences & Forestry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Environmental Science Mathematics Medicine & Pharmacology Physics Social Sciences Other

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Investment Risk Analysis On Bitcoin With Applied of VaR-APARCH Model Kasse, Irwan; Mariani, Andi; Utari, Serly; D., Didiharyono
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 5, No 1 (2021): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v5i1.3220

Abstract

Investment can be defined as an activity to postpone consumption at the present time with the aim to obtain maximum profits in the future. However, the greater the benefits, the greater the risk. For that we need a way to predict how much the risk will be borne. Modelling data that experiences heteroscedasticity and asymmetricity can use the Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) model. This research discusses the time series data risk analysis using the Value at Risk-Asymmetric Power Autoregressive Conditional Heteroscedasticity (VaR-APARCH) model using the daily closing price data of Bitcoin USD period January 1 2019 to 31 December 2019. The best APARCH model was chosen based on the value of Akaike's Information Criterion (AIC). From the analysis results obtained the best model, namely ARIMA (6,1,1) and APARCH (1,1) with the risk of loss in the initial investment of IDR 100,000,000 in the next day IDR 26,617,000. The results of this study can be used as additional information and apply knowledge about the risk of investing in Bitcoin with the VaR-APARCH model.
Co-Authors Adiatma Aditya Idris Adnan Sauddin Andi Mariani Anugrawati, Sri Dewi C, Fery Ramadhan Darmiani, Darmiani Didiharyono, D. Erianti, Efita Ermawati Ermawati Firdayanti Ayu Lestari Hasriani Hasriani Herianto Ilham Syata Imran Hasanuddin, Muhammad Irwan, Muh. Iswanto, Ardi Jalil, Erniwati jusrawati jusrawati M Arlan Darmawan Maulidina Maulidina muh irwan Muh Irwan, Muh Muh. Irwan Nawawi, Muhammad Ichsan Nur Rizkynanda Auliyah Ahmad Nur Wahida , Zam Nur Wirun, Nur Huda Nurafiah, Andi Rezki Nurfadilah, Khalilah Nurul Inayah NURUL WULANDARI Pathuddin, Hikmawati Qur’ani, Anisah Mardiah Rasyid, Rakhyuni Reni Astuti Rezeki, Rezeki Risna Sukardi Risnawati Ibnas S.Pd. M Kes I Ketut Sudiana . Siswahyudianto Tenrianna, Tenrianna Utari, Serly Wahidah Alwi Yusran, Andi Muhammad Fauzan Shadiq Z, Eldasari